Lecture

Fourier Transform and Spectral Densities

Description

This lecture covers the definition of the Fourier transform according to Risken, the concept of spectral densities, the gated Fourier transform for real signals limited in time, the Wiener-Khinchin theorem, and the Langevin equation for Brownian motion. It also discusses the two-force hypothesis, the Wiener increment, and Itō's lemma in stochastic processes.

Official source

https://mediaspace.epfl.ch/media/0_dmqjtok6

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Ontological neighbourhood

Mathematics

Mathematical logic: Set theory

Analysis: Differential anaysis

Topology: General topology

Information engineering

Signal processing: Digital image processing, Fourier analysis

Physics

Thermodynamics: Statistical mechanics

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